Set up extra targets and only go downrange once. Or else, leave your range bag etc and lock up your guns/ gear in your vehicle before heading downrange. It's a PITA but better than having to explain yourself to the ATF.

I have always kept my guns on me and taken my chances being kicked off the range. They have always been unloaded of course but with a mag or two in my pocket. If there was a range officer there who had the authority to kick you off for breaking a rule, then you probably wouldn't need to worry about your stuff being stolen. If not, or if alone, then better to ask forgiveness later then get permission in that situation.

NEVER leave your guns unattended unless there is someone you trust to keep an eye on them.